List of presentValue() Examples

Examples of presentValue()

com.opengamma.analytics.financial.equity.option.EquityIndexOptionBlackMethod.presentValue()
@param derivative An EquityIndexOption, the OG-Analytics form of the derivative @param marketData A StaticReplicationDataBundle, containing a BlackVolatilitySurface, forward equity and funding curves @return The present value of the option
com.opengamma.analytics.financial.equity.option.EquityOptionBlackMethod.presentValue()
@param derivative An EquityOption, the OG-Analytics form of the derivative @param marketData A StaticReplicationDataBundle, containing a BlackVolatilitySurface, forward equity and funding curves @return The present value of the option
com.opengamma.analytics.financial.equity.variance.pricing.VarianceSwapStaticReplication.presentValue()
Calculates the present value of a variance swap using static replication @param deriv The variance swap, not null @param market Bundle containing market data, not null @return The present value
com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityDiscountingMethod.presentValue()
Computes the present value of a bond security (without settlement amount payment). @param bond The bond security. @param curves The curve bundle. @return The present value.
com.opengamma.analytics.financial.interestrate.bond.method.BondTransactionDiscountingMethod.presentValue()
Compute the present value of a fixed coupon bond transaction. @param bond The bond transaction. @param curves The curve bundle. @return The present value.
com.opengamma.analytics.financial.interestrate.future.method.BondFutureDiscountingMethod.presentValue()
Computes the present value of future from the curves using the cheapest-to-deliver and computing the value as a forward. @param future The future. @param curves The yield curves. Should contain the credit and repo curves associated with the instrument. @return The present value.
com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureTransactionDiscountingMethod.presentValue()
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod.presentValue()
Compute the present value of a CMS cap/floor by replication in SABR framework. For floor the replication is between 0.0 and the strike. 0.0 is used as the rates are always >=0.0 in SABR. @param cmsCapFloor The CMS cap/floor. @param sabrData The SABR data bundle. @return The present value.
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod.presentValue()
Compute the present value of a CMS spread cap/floor in the binormal approach. @param cmsSpread The CMS spread cap/floor. @param sabrData The SABR data bundle. @return The present value.
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborHullWhiteMethod.presentValue()
Computes the present value of a cap/floor in the Hull-White one factor model. @param cap The cap/floor. @param hwData The Hull-White parameters and the curves. @return The present value.
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborLMMDDMethod.presentValue()
Computes the present value of the cap/floor in the LMM. It is computed using a Black formula (on the shifted rate). The volatility is the LMM volatilities for the relevant period multiplied by the time dependent factor square mean. The method is used mainly for calibration purposes. @param cap The cap. Should have the same underlying index as the model (same payment frequency). @param lmmData The Model parameters. @return The present value.
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRExtrapolationRightMethod.presentValue()
Computes the present value of a cash-settled European swaption in the SABR model with extrapolation to the right. @param cap The cap/floor. @param sabrData The SABR data. The SABR function need to be the Hagan function. @return The present value.
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRMethod.presentValue()
Computes the present value of a cap/floor in the SABR model. @param cap The cap/floor. @param sabrData The SABR data bundle. @return The present value.
com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRReplicationMethod.presentValue()
com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSpreadSABRBinormalMethod.presentValue()
Compute the present value of a CMS spread cap/floor in the binormal approach. @param cmsSpread The CMS spread cap/floor. @param sabrData The SABR data bundle. @return The present value.
com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborLMMDDMethod.presentValue()
Computes the present value of the cap/floor in the LMM. It is computed using a Black formula (on the shifted rate). The volatility is the LMM volatilities for the relevant period multiplied by the time dependent factor square mean. The method is used mainly for calibration purposes. @param cap The cap. Should have the same underlying index as the model (same payment frequency). @param lmmData The LMM and multi-curves provider. @return The present value.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRExtrapolationRightMethod.presentValue()
Computes the present value of a cash-settled European swaption in the SABR model with extrapolation to the right. @param swaption The swaption. @param sabrData The SABR data. @return The present value.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRMethod.presentValue()
Computes the present value of a cash-settled European swaption in the SABR model. @param swaption The swaption. @param sabrData The SABR data. @return The present value.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRExtrapolationRightMethod.presentValue()
Computes the present value of a physical delivery European swaption in the SABR model with extrapolation to the right. @param swaption The swaption. @param sabrData The SABR data. @return The present value.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRMethod.presentValue()
Computes the present value of a physical delivery European swaption in the SABR model. @param swaption The swaption. @param sabrData The SABR data. @return The present value.
com.opengamma.analytics.financial.montecarlo.G2ppMonteCarloMethod.presentValue()
Computes the present value in the G2++ two factors model by Monte-Carlo. Implementation note: The total number of paths is divided in blocks of maximum size BLOCK_SIZE=1000. The Monte Carlo is run on each block and the average of each block price is the total price. @param instrument The swaption. @param ccy The currency @param dscName The discounting curve name. @param g2Data The G2++ data (curves and G2++ parameters). @return The present value.
com.opengamma.analytics.financial.montecarlo.HullWhiteMonteCarloMethod.presentValue()
Computes the present value in the Hull-White one factor model by Monte-Carlo. Implementation note: The total number of paths is divided in blocks of maximum size BLOCK_SIZE=1000. The Monte Carlo is run on each block and the average of each block price is the total price. @param instrument The swaption. @param ccy The currency @param dscName The discounting curve name. @param hwData The Hull-White data (curves and Hull-White parameters). @return The present value.
com.opengamma.analytics.financial.montecarlo.LiborMarketModelMonteCarloMethod.presentValue()
com.opengamma.analytics.financial.montecarlo.provider.G2ppMonteCarloMethod.presentValue()
Computes the present value in the G2++ two factors model by Monte-Carlo. Implementation note: The total number of paths is divided in blocks of maximum size BLOCK_SIZE=1000. The Monte Carlo is run on each block and the average of each block price is the total price. @param instrument The swaption. @param ccy The currency @param g2Data The G2++ data (curves and G2++ parameters). @return The present value.
com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod.presentValue()
Computes the present value in the Hull-White one factor model by Monte-Carlo. Implementation note: The total number of paths is divided in blocks of maximum size BLOCK_SIZE=1000. The Monte Carlo is run on each block and the average of each block price is the total price. @param instrument The swaption. @param ccy The currency. @param hwData The Hull-White data (curves and Hull-White parameters). @return The present value.
com.opengamma.analytics.financial.montecarlo.provider.LiborMarketModelMonteCarloMethod.presentValue()
org.apache.felix.service.command.Parameter.presentValue()
org.jquantlib.pricingengines.hybrid.DiscretizedConvertible.presentValue()

Examples of com.opengamma.analytics.financial.equity.option.EquityIndexOptionBlackMethod.presentValue()

    final double rhoSettle;
    //FIXME
    if (derivative instanceof EquityIndexOption) {
      settle = ((EquityIndexOption) derivative).getTimeToSettlement();
      final EquityIndexOptionBlackMethod model = EquityIndexOptionBlackMethod.getInstance();
      rhoSettle = -1 * settle * model.presentValue((EquityIndexOption) derivative, market);
    } else {
      settle = ((EquityOption) derivative).getTimeToSettlement();
      final EquityOptionBlackMethod model = EquityOptionBlackMethod.getInstance();
      rhoSettle = -1 * settle * model.presentValue((EquityOption) derivative, market);
    }

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Examples of com.opengamma.analytics.financial.equity.option.EquityOptionBlackMethod.presentValue()

      final EquityIndexOptionBlackMethod model = EquityIndexOptionBlackMethod.getInstance();
      rhoSettle = -1 * settle * model.presentValue((EquityIndexOption) derivative, market);
    } else {
      settle = ((EquityOption) derivative).getTimeToSettlement();
      final EquityOptionBlackMethod model = EquityOptionBlackMethod.getInstance();
      rhoSettle = -1 * settle * model.presentValue((EquityOption) derivative, market);
    }
    //  We use PresentValueNodeSensitivityCalculator to distribute this risk across the curve
    final NodeYieldSensitivityCalculator distributor = PresentValueNodeSensitivityCalculator.getDefaultInstance();
    // What's left is to package up the inputs to the distributor, a YieldCurveBundle and a Map of Sensitivities
    final Map<String, List<DoublesPair>> curveSensMap = new HashMap<>();

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Examples of com.opengamma.analytics.financial.equity.variance.pricing.VarianceSwapStaticReplication.presentValue()

  public Double calcDiscountRateSensitivity(final VarianceSwap swap, final StaticReplicationDataBundle market, final double shift) {
    ArgumentChecker.notNull(market, "market");
    ArgumentChecker.notNull(swap, "swap");
    // Sensitivity from the discounting
    final VarianceSwapStaticReplication pricer = new VarianceSwapStaticReplication();
    final double pv = pricer.presentValue(swap, market);
    final double timeToSettlement = swap.getTimeToSettlement();


    // Sensitivity from forward projection
    final double fwdSens = calcForwardSensitivity(swap, market, shift);
    final double fwd = market.getForwardCurve().getForward(timeToSettlement);

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Examples of com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityDiscountingMethod.presentValue()

  @Override
  public Double visitBondFixedSecurity(final BondFixedSecurity bond, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(bond, "bond");
    final BondSecurityDiscountingMethod method = BondSecurityDiscountingMethod.getInstance();
    return method.presentValue(bond, curves);
  }


  @Override
  public Double visitBondFixedTransaction(final BondFixedTransaction bond, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");

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Examples of com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityDiscountingMethod.presentValue()

  @Override
  public Double visitBondIborSecurity(final BondIborSecurity bond, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(bond, "bond");
    final BondSecurityDiscountingMethod method = BondSecurityDiscountingMethod.getInstance();
    return method.presentValue(bond, curves);
  }


  @Override
  public Double visitBondIborTransaction(final BondIborTransaction bond, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");

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Examples of com.opengamma.analytics.financial.interestrate.bond.method.BondTransactionDiscountingMethod.presentValue()

  @Override
  public Double visitBondFixedTransaction(final BondFixedTransaction bond, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(bond, "bond");
    final BondTransactionDiscountingMethod method = BondTransactionDiscountingMethod.getInstance();
    return method.presentValue(bond, curves);
  }


  @Override
  public Double visitBondIborSecurity(final BondIborSecurity bond, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");

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Examples of com.opengamma.analytics.financial.interestrate.bond.method.BondTransactionDiscountingMethod.presentValue()

  @Override
  public Double visitBondIborTransaction(final BondIborTransaction bond, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(bond, "bond");
    final BondTransactionDiscountingMethod method = BondTransactionDiscountingMethod.getInstance();
    return method.presentValue(bond, curves);
  }


  // -----     Payment/Coupon     ------


  @Override

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Examples of com.opengamma.analytics.financial.interestrate.future.method.BondFutureDiscountingMethod.presentValue()

  @Override
  public Double visitBondFuture(final BondFuture bondFuture, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(bondFuture, "bond future");
    final BondFutureDiscountingMethod method = BondFutureDiscountingMethod.getInstance();
    return method.presentValue(bondFuture, curves).getAmount();
  }


  @Override
  public Double visitGenericAnnuity(final Annuity<? extends Payment> annuity, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");

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Examples of com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureTransactionDiscountingMethod.presentValue()

  @Override
  public Double visitInterestRateFutureTransaction(final InterestRateFutureTransaction future, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(future, "future");
    final InterestRateFutureTransactionDiscountingMethod method = InterestRateFutureTransactionDiscountingMethod.getInstance();
    return method.presentValue(future, curves).getAmount();
  }


  @Override
  public Double visitSwap(final Swap<?, ?> swap, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");

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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod.presentValue()

    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final CapFloorCMSSABRReplicationMethod replication = CapFloorCMSSABRReplicationMethod.getDefaultInstance();
      return replication.presentValue(payment, sabrBundle).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
  }


  @Override

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